Model selection criteria in multivariate models with multiple structural changes

DOI10.1016/J.JECONOM.2011.04.003MaRDI QIDQ738024zbMATH OpenOpenAlexFDO

Authors Eiji Kurozumi, Purevdorj Tuvaandorj

Publication date 12 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd10-144.pdf

zbMATH Keywords

BICstructural breaksAICinformation criteriaMallows' \(C_p\)

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Modified AIC and Cp in multivariate linear regression
• Non-monotonic penalizing for the number of structural breaks
• Selection of variables in multivariate regression models for large dimensions
• scientific article; zbMATH DE number 1219611
• Model selection for factor analysis: some new criteria and performance comparisons

Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 1034049 (Why is no real title available?)
• scientific article; zbMATH DE number 1093829 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• A Modified Bayes Information Criterion with Applications to the Analysis of Comparative Genomic Hybridization Data
• Averaging estimators for regressions with a possible structural break
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating and Testing Structural Changes in Multivariate Regressions
• Estimating the dimension of a model
• Estimating the number of change-points via Schwarz' criterion
• Information criteria and statistical modeling.
• Information criterion for Gaussian change-point model
• Likelihood ratio tests for multiple structural changes
• Model Selection and Multimodel Inference
• Optimal changepoint tests for normal linear regression
• Selection of the order of an autoregressive model by Akaike's information criterion
• Some Comments on C P
• Structural Break Estimation for Nonstationary Time Series Models
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The estimation of the order of an ARMA process
• The minimum of an additive process with applications to signal estimation and storage theory

Cited in

(15)

• Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models
• The Structure of Multivariate Models and the Range of Definition
• scientific article; zbMATH DE number 7387535 (Why is no real title available?)
• Multiple-model estimation with variable structure. II: Model-set adaptation
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search
• Estimating DNA methylation levels by joint modeling of multiple methylation profiles from microarray data
• Testing for common breaks in a multiple equations system
• Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
• Non-monotonic penalizing for the number of structural breaks
• Structural changes in multivariate regression models
• Model selection when there are multiple breaks
• Structural breaks in time series
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• The asymptotic behaviour of the residual sum of squares in models with multiple break points

This page was built for publication: Model selection criteria in multivariate models with multiple structural changes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738024)